Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 10 is Best) NA NA NA
Score NA NA NA
Market Cap (Millions USD) NA NA NA
Predicted Beta 0.63 0.63 0.63
Idiosyncratic Volatility 1.45 1.43 1.41

Annualized return and volatility

OSMYX
Annualized Return 0.1149
Annualized Std Dev 0.2214
Annualized Sharpe (Rf=0%) 0.5189

Row

Daily Return Statistics

OSMYX
Observations 3661.0000
NAs 1453.0000
Minimum -0.0982
Quartile 1 -0.0046
Median 0.0009
Arithmetic Mean 0.0005
Geometric Mean 0.0004
Quartile 3 0.0067
Maximum 0.1115
SE Mean 0.0002
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0010
Variance 0.0002
Stdev 0.0139
Skewness -0.4171
Kurtosis 8.4367

Downside Risk

OSMYX
Semi Deviation 0.0103
Gain Deviation 0.0098
Loss Deviation 0.0119
Downside Deviation (MAR=210%) 0.0146
Downside Deviation (Rf=0%) 0.0101
Downside Deviation (0%) 0.0101
Maximum Drawdown 0.7822
Historical VaR (95%) -0.0213
Historical ES (95%) -0.0361
Modified VaR (95%) -0.0216
Modified ES (95%) -0.0422
From Trough To Depth Length To Trough Recovery
2007-11-01 2008-11-20 2013-04-30 -0.7822 1405 273 1132
2006-05-11 2006-06-13 2006-12-04 -0.2555 146 23 123
2007-07-13 2007-08-16 2007-10-29 -0.2388 77 25 52
2018-06-14 2018-12-24 2019-11-25 -0.2130 372 137 235
2014-07-07 2014-10-16 2015-03-20 -0.1301 184 74 110

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec OSMYX
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA NA NA NA NA NA NA NA
2001 NA NA NA NA NA NA NA NA NA NA NA NA NA
2002 NA NA NA NA NA NA NA NA NA NA NA NA NA
2003 NA NA NA NA NA NA NA NA NA NA NA NA NA
2004 NA NA NA NA NA NA NA NA NA NA NA NA NA
2005 NA NA NA NA NA NA NA NA 0.0 0.7 1.8 0.0 2.5
2006 -0.2 1.3 0.0 0.6 -0.5 0.0 0.1 1.2 0.0 -1.0 0.2 0.0 1.8
2007 0.6 -1.0 0.0 -0.1 1.8 0.0 -2.0 0.0 1.8 -2.6 0.0 0.0 -1.6
2008 1.5 0.0 0.1 -0.6 0.0 -0.8 -1.3 0.0 -2.1 0.0 0.0 0.0 -3.2
2009 0.0 0.0 2.2 3.0 4.3 0.9 0.0 -2.2 -3.3 0.0 3.5 0.0 8.3
2010 1.8 1.6 2.0 0.0 -0.9 -0.2 0.0 2.5 1.4 0.3 3.0 0.0 12.1
2011 2.3 0.1 0.5 0.0 -0.9 0.4 -0.6 -0.8 0.0 -3.2 -1.1 0.0 -3.3
2012 2.2 0.2 0.0 0.1 -2.7 0.0 -0.4 0.0 0.7 0.0 0.0 0.0 0.2
2013 1.0 -0.2 -0.5 0.2 0.0 1.3 0.6 0.0 0.7 -0.5 0.0 0.0 2.4
2014 0.0 0.0 0.7 0.6 0.0 0.6 -0.5 0.0 -0.8 0.0 0.2 0.0 0.8
2015 0.0 0.0 0.2 0.1 -0.2 0.8 0.0 -1.9 0.1 0.0 1.1 0.0 0.1
2016 0.5 2.0 0.0 0.0 0.1 0.7 0.0 0.9 0.0 0.1 -0.7 0.0 3.7
2017 0.7 0.8 0.0 0.4 0.9 0.0 0.5 0.1 0.0 0.1 -0.4 0.0 3.2
2018 0.6 -1.4 0.0 -0.3 0.7 0.0 0.0 0.0 0.2 1.9 0.0 0.0 1.6
2019 0.1 1.0 1.1 -0.6 0.0 0.9 0.1 0.0 -0.5 1.0 0.0 0.4 3.5

Row

Rolling Performance Chart

Snail Trail Chart